This chapter greatly benefited from discussions and feedback from Douglas J. Lucas.

1. Typically a CLO is incorporated in the Cayman Islands.

2. For a more detailed discussion of CLOs, see Stephen J. Antczak, Douglas J. Lucas, and Frank J. Fabozzi, Leveraged Finance: Concepts, Methods, and Trading of High-Yield Bonds, Loans, and Derivatives (Hoboken, NJ: John Wiley & Sons, 2009).